This paper examines the extent to which fiscal policy actions affect the stock market's behavior for the US during 1968-2005. The findings are consistent with the hypothesis that past budget deficits negatively affect current stock returns thus suggesting that the market is inefficient with...

This paper explores the effects of currency substitution behavior in Greece, Portugal and Spain in light of their upcoming participation in the European monetary Union. The cointegration methodology adopted leads to an error-correction model for each country which allows us to separate the...

This paper examines the dynamic interactions among the equity market, economic activity, inflation, and monetary policy under three monetary policy regimes using bivariate and multivariate vector autoregressive cointegrating specifications. The bivariate results for the real stock...

A structural VAR model, with stock prices, real economic activity, a short-term interest rate and inflation, was applied to four European countries to investigate whether economic fundamentals play an important role in their national stock markets. The analysis considers the pre- and post-Euro...

The paper examines the stochastic behaviour and the volatility patterns of the Greek drachma against the German mark and the US dollar in response to shifts in the monetary stances of Germany and the US. The methodological design is the GARCH specification. The results strongly suggest that...